WWW Options History — January 2015

In January 2015, WWW traded between $27.19 and $29.62. ATM implied volatility averaged 35.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.6% (HV 20d: 24.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2015-01-09: Highest Volume — 2,134 contracts
  • 2015-01-09: Largest IV spike — 30.0% change
  • 2015-01-12: Highest IV Rank — 55.6%
  • 2015-01-21: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.39$27.19$29.62$29.05$28.09
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV35.2%28.8%51.9%31.8%29.1%
Expected Move9.7%8.3%10.8%9.1%8.3%
HV 20d24.7%16.8%32.3%16.9%32.3%
HV 60d22.5%20.5%24.9%22.2%24.9%
IV Rank27.0%16.1%55.6%21.1%16.5%
IV Percentile63.8%36.9%97.6%56.3%36.9%
Term Structure-2.6%-7.9%8.8%-1.0%-4.0%
VWIV32.4%25.0%37.2%33.9%34.7%
Skew 25d3.9%-10.7%10.0%-0.2%-10.7%
Skew 10d1.2%-13.4%12.3%-2.3%-0.7%
Call IV 25d33.5%27.2%38.8%33.2%35.3%
Put IV 25d37.4%24.6%46.3%32.9%24.6%
Bid-Ask Spread %95.7289.76102.7092.42101.74
Gamma HHI0.470.360.830.490.37
Net GEX62.1K21.7K301.8K28.4K30.8K
Net DEX-1.7M-3.5M-1.1M-1.8M-1.4M
Net VEX-6.4K-7.8K-5.0K-5.0K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.006.110.751.62
Total Volume528.702,134201341
Total OI1,960.51,5223,2301,5431,867

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$29.05$0.0031.8%9.1%16.9%21.1%0.0%-0.2%-1.0%28.4K-1.8M-5.0K0.7592.42N/AN/A115861,184359
2015-01-05$28.75$0.0033.4%9.8%16.8%23.9%0.0%9.2%-4.1%28.2K-1.6M-5.2K3.0093.92N/AN/A5151,165359
2015-01-06$28.06$0.0032.5%9.8%17.6%22.4%0.0%8.5%-2.7%29.2K-1.3M-5.7K0.3789.76N/AN/A30111,165357
2015-01-07$28.35$0.0029.5%10.0%18.0%17.2%0.0%8.5%-4.6%33.1K-1.4M-5.3K0.0091.84N/AN/A01571,175367
2015-01-08$29.05$0.0034.9%9.5%20.2%26.5%0.0%7.7%-3.3%24.1K-1.7M-5.4K1.8794.82N/AN/A951781,175511
2015-01-09$29.59$0.0045.4%9.5%20.3%44.4%0.0%8.9%-3.1%21.7K-1.9M-5.0K0.0995.20N/AN/A1,9581761,175511
2015-01-12$29.62$0.0051.9%9.9%20.2%55.6%0.0%8.0%-3.1%254.9K-3.5M-7.8K0.56100.99N/AN/A3171762,495512
2015-01-13$28.63$0.0037.6%9.7%23.2%31.0%33.9%3.0%-5.5%301.8K-2.5M-6.5K0.1196.54N/AN/A1,6371762,718512
2015-01-14$27.89$30.0033.6%9.6%24.8%24.2%33.6%6.5%-1.8%111.9K-1.7M-7.1K0.1189.92N/AN/A1,6361781,978512
2015-01-15$27.27$30.0034.5%9.9%25.3%25.8%26.3%6.6%8.8%44.4K-1.1M-6.5K0.1192.33N/AN/A1,6511781,979514
2015-01-16$27.54$30.0028.8%8.3%25.7%16.1%25.0%4.4%-3.8%46.6K-1.1M-6.1K6.1191.42N/AN/A9551,994506
2015-01-20$27.21$30.0036.7%10.5%25.6%29.5%0.0%-0.2%2.3%43.8K-1.4M-6.4K0.0096.17N/AN/A051,197410
2015-01-21$27.19$30.0037.7%10.8%25.6%31.2%0.0%0.8%0.2%45.3K-1.3M-6.3K0.0094.08N/AN/A0531,197410
2015-01-22$28.34$30.0032.9%9.4%30.3%23.0%32.1%9.5%-2.1%41.4K-1.6M-6.2K1.8393.41N/AN/A1152111,197463
2015-01-23$28.19$30.0033.3%9.5%30.0%23.7%33.4%1.1%-2.9%32.9K-1.5M-7.4K1.8396.89N/AN/A1152111,199648
2015-01-26$28.57$30.0033.3%9.5%30.4%23.7%0.0%10.0%-1.7%30.3K-1.5M-7.5K0.0098.25N/AN/A001,199648
2015-01-27$28.67$30.0036.2%10.4%30.3%28.7%0.0%-7.2%-7.9%29.3K-1.6M-7.2K0.00102.70N/AN/A301,199648
2015-01-28$28.68$30.0037.3%10.7%29.8%30.5%37.2%7.3%-7.1%32.0K-1.6M-7.0K1.80100.33N/AN/A1172111,199648
2015-01-29$29.12$30.0034.3%9.8%30.1%25.4%35.1%-3.5%-4.5%32.1K-1.7M-7.2K1.49101.67N/AN/A1422111,200658
2015-01-30$28.09$30.0029.1%8.3%32.3%16.5%34.7%-10.7%-4.0%30.8K-1.4M-7.5K1.62101.74N/AN/A1302111,209658